Rulebooks: Contents

Rulebooks
Mainboard Rules
Catalist Rules
SGX-ST Rules
CDP Clearing Rules
DVP Rules
CDP Depository Rules
Futures Trading Rules
Chapter 1 General Matters
Chapter 2 Access and Membership
Chapter 3 Conduct of Members, Approved Traders and Representatives
Chapter 4 Listing and Trading of Contracts
Chapter 5 Physical Delivery
Chapter 6 Dispute Resolution and Arbitration
Chapter 7 Adverse Events, Rule Violations and Disciplinary Action
Chapter 8 Definitions and Interpretation
Chapter 9 Transitional Provisions
Regulatory Notices
Regulatory Notice 4.1.6 — Trade Matching Algorithms Applicable to the SGX-DT Market
Practice Notes
Schedules
SGX-DC Clearing Rules
SIAC DT Arbitration Rules
SIAC DC Arbitration Rules
Rule Amendments

  Versions
(2 versions)
 
Up to Nov 13 2016Nov 14 2016 onwards

Regulatory Notice 4.1.6 — Trade Matching Algorithms Applicable to the SGX-DT Market

Issue Date Cross Reference Enquiries
Added on
22 September 2006 and amended on 14 November 2016.
Rule 4.1.6 Please contact Product Management:
Telephone No. : 6236 5308

1. Introduction

1.1 This Regulatory Notice deals with trade matching algorithms applied to Contracts traded on the SGX-DT Market.

2 Trade Matching Algorithms for the SGX-DT Market

2.1 The Exchange may adopt any one (1) or more of the four (4) algorithms described below to match and allocate orders for Contracts traded on the SGX-DT Market.
(a) Price/Time Priority Allocation. Orders at the best price (i.e. highest bid/lowest offer) would receive priority over other orders in the same Contract Month/spreads. Orders entered at the same price will then be matched based on time priority.
(b) Price Point Maker Allocation ("PPM"). Orders which are the first to improve the prevailing bid/offer prices (known as orders with price point maker status) would receive priority over other orders at the same price.
(c) Market Maker Allocation ("MM"). Orders of designated market makers would receive priority over other orders at the same price.
(d) Pro-Rata Order and Matching Allocation ("Pro-Rata Order"). Orders entered at the same price would be matched based on the orders' volume contribution to the aggregate volume of all resting orders at that price.
2.2 All orders entered into the Trading System will be matched in a manner that gives priority to price; i.e. orders at the best price (highest bid/lowest offer) receive priority over other orders in the same Contract Month/spreads.
2.3 For orders at the same price point, the time priority would apply; i.e. orders entered into the Trading System at the same price will be matched based on time priority, unless any one (1) or more of the trade matching algorithms (PPM, MM and Pro-Rata Order) is applicable.
2.4 If any one (1) or more of the PPM, MM and/or Pro-Rata Order algorithms is applicable, orders at the same price point would be matched and allocated such that orders with price point maker status, or orders of a designated market maker, or Pro-Rata Orders (as the case may be), would receive priority over other orders entered earlier in time. The priority between the PPM, MM and/or Pro-Rata Order (if more than one (1) trade matching algorithm is applicable) will be notified via a Regulatory Notice.

Amended on 14 November 2016.